Modeling and forecasting EUR/USD volatility with GARCH models

Fabbri, Gianmarco (A.A. 2019/2020) Modeling and forecasting EUR/USD volatility with GARCH models. Tesi di Laurea in Asset pricing, Luiss Guido Carli, relatore Nicola Borri, pp. 25. [Master's Degree Thesis]

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The exchange rate. Generalized autoregressive conditional heteroskedasticity. News impact curve and asymmetry. Data and methodology. Forecasting and realized variance. Evaluation via loss functions.


Bibliografia: pp. 23-24.

Thesis Type: Master's Degree Thesis
Institution: Luiss Guido Carli
Degree Program: Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56)
Chair: Asset pricing
Thesis Supervisor: Borri, Nicola
Thesis Co-Supervisor: Reichlin, Pietro
Academic Year: 2019/2020
Session: Autumn
Deposited by: Alessandro Perfetti
Date Deposited: 14 May 2021 08:20
Last Modified: 14 May 2021 08:20


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